Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients

DOI10.1214/17-ECP88zbMath1373.93307arXiv1612.07647MaRDI QIDQ2411775

Eduardo Abi Jaber

Publication date: 25 October 2017

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.07647

zbMATH Keywords

stochastic differential equationjumpsstochastic invariancesemimartingale

Mathematics Subject Classification ID

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Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application ⋮ Viability for coupled SDEs driven by fractional Brownian motion ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ Invariance of closed convex sets for stochastic functional differential equations ⋮ Generalised Lyapunov Functions and Functionally Generated Trading Strategies

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